CompositeInstrument Class Reference

Composite instrument More...

#include <compositeinstrument.hpp>

Inheritance diagram for CompositeInstrument:

Collaboration diagram for CompositeInstrument:

Public Member Functions
void	add (const ext::shared_ptr< Instrument > &instrument, Real multiplier=1.0)
	adds an instrument to the composite More...
void	subtract (const ext::shared_ptr< Instrument > &instrument, Real multiplier=1.0)
	shorts an instrument from the composite More...
Observer interface
void	deepUpdate () override
Public Member Functions inherited from Instrument
	Instrument ()
Real	NPV () const
	returns the net present value of the instrument. More...
Real	errorEstimate () const
	returns the error estimate on the NPV when available. More...
const Date &	valuationDate () const
	returns the date the net present value refers to. More...
template<typename T >
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine. More...
const std::map< std::string, ext::any > &	additionalResults () const
	returns all additional result returned by the pricing engine. More...
void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used. More...
virtual void	setupArguments (PricingEngine::arguments *) const
virtual void	fetchResults (const PricingEngine::results *) const
Public Member Functions inherited from LazyObject
	LazyObject ()
	~LazyObject () override=default
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observable
	Observable ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()

Private Types
typedef std::pair< ext::shared_ptr< Instrument >, Real >	component
typedef std::list< component >::iterator	iterator
typedef std::list< component >::const_iterator	const_iterator

Instrument interface
std::list< component >	components_
bool	isExpired () const override
	returns whether the instrument might have value greater than zero. More...
void	performCalculations () const override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from Instrument
void	calculate () const override
virtual void	setupExpired () const
Protected Member Functions inherited from LazyObject
Protected Attributes inherited from Instrument
Real	NPV_
Real	errorEstimate_
Date	valuationDate_
std::map< std::string, ext::any >	additionalResults_
ext::shared_ptr< PricingEngine >	engine_
Protected Attributes inherited from LazyObject
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

Composite instrument

This instrument is an aggregate of other instruments. Its NPV is the sum of the NPVs of its components, each possibly multiplied by a given factor.

Warning:

Methods that drive the calculation directly (such as recalculate(), freeze() and others) might not work correctly.

Examples

Replication.cpp.

Definition at line 44 of file compositeinstrument.hpp.

Member Typedef Documentation

component

typedef std::pair<ext::shared_ptr<Instrument>, Real> component

private

Definition at line 45 of file compositeinstrument.hpp.

iterator

typedef std::list<component>::iterator iterator

private

Definition at line 46 of file compositeinstrument.hpp.

const_iterator

typedef std::list<component>::const_iterator const_iterator

private

Definition at line 47 of file compositeinstrument.hpp.

Member Function Documentation

add()

void add	(	const ext::shared_ptr< Instrument > &	instrument,
		Real	multiplier = 1.0
	)

adds an instrument to the composite

Examples

Replication.cpp.

Definition at line 24 of file compositeinstrument.cpp.

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subtract()

void subtract	(	const ext::shared_ptr< Instrument > &	instrument,
		Real	multiplier = 1.0
	)

shorts an instrument from the composite

Examples

Replication.cpp.

Definition at line 40 of file compositeinstrument.cpp.

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deepUpdate()

void deepUpdate ( )

overridevirtual

This method allows to explicitly update the instance itself and nested observers. If notifications are disabled a call to this method ensures an update of such nested observers. It should be implemented in derived classes whenever applicable

Reimplemented from Observer.

Definition at line 60 of file compositeinstrument.cpp.

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isExpired()

bool isExpired ( ) const

overridevirtual

returns whether the instrument might have value greater than zero.

Implements Instrument.

Definition at line 45 of file compositeinstrument.cpp.

performCalculations()

void performCalculations ( ) const

overrideprotectedvirtual

In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.

Reimplemented from Instrument.

Definition at line 53 of file compositeinstrument.cpp.

Member Data Documentation

components_

std::list<component> components_

private

Definition at line 67 of file compositeinstrument.hpp.